Embedded Files
Research Interests
Research Interests
- Banking and Financial Intermediaries: financial networks, financial stability, systemic risk
- Banking and Financial Intermediaries: financial networks, financial stability, systemic risk
- Microeconomics: network formation, game theory, mechanism design
- Microeconomics: network formation, game theory, mechanism design
- Finance: portfolio theory, asset pricing
- Finance: portfolio theory, asset pricing
Working Papers
"Endogenous Multiplex Bank Networks and Contagion" (Job Market Paper, CAEPR Working Paper)
I develop a model to study two related questions: how bank decisions to form connections depend on fundamentals; and how financial stability depends on bank network structure. In my model, banks are connected through two layers of networks: interbank debts and banks' common investments in non-financial firms. These layers of interconnections are incentivized by diversified investments when banks maximize their expected equity values according to mean-variance rules. I show that the topologies of the two network layers interact with each other. Comparative statics of a small number of banks indicates that, in equilibrium, as banks become less risk averse, they tend to issue more debts and form more links within the banking sector. Furthermore, I conduct numerical computations for bank default probabilities in a circle network and a more connected network. The results demonstrate that increased bank interconnectedness and common asset holdings significantly reduce systemic stability.
WFC_2018_JMP_Jieshuang.pdf"Securities settlement fails network and buy‑in strategies" (Bank of England Staff Working Paper No. 821) with Pedro Gurrola-Perez and Gary Harper
In the context of securities settlement, a trade is said to fail if on the settlement date either the seller does not deliver the securities or the buyer does not deliver funds. Settlement fails may have consequences for the parties directly involved and for the system as a whole. Chains of fails, for example, could lead to gridlock situations and large volume of fails can affect the liquidity and smooth functioning of financial markets. In this paper, we consider UK government bonds (gilts) and UK equities settlement data to examine the determinants of settlement fails and to explore the network characteristics of chains of settlement fails with the aim of identifying an optimal strategy to conduct a buy-in process that could resolve cascades of fails.
"Incentive Compatible Networks and the Delegated Networking Principle," with F. Page and R. Gong (LSE Systemic Risk Centre Discussion Papers)
We construct a model of a principal-agent game of banking network formation with asymmetric information. We show that it is possible for the central bank to design a mechanism to regulate the banking network in order to control systemic risk to a desired level. Through the mechanism banks will truthfully reveal their private information. In addition, it is possible for the central bank to achieve the same outcome by instead choosing a profile of sets of allowable ways to connect and then delegating connection choices to each pair of agents.
- Best Third Year Paper Award (Department of Economics, Indiana University, 2014)
Google Sites
Report abuse